Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0807
Annualized Std Dev 0.2356
Annualized Sharpe (Rf=0%) 0.3424

Row

Daily Return Statistics

Close
Observations 5077.0000
NAs 1.0000
Minimum -0.1250
Quartile 1 -0.0065
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0077
Maximum 0.1080
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0148
Skewness -0.2839
Kurtosis 8.0431

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0104
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6311
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0228
Modified ES (95%) -0.0411
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2012-09-13 -0.6311 1332 444 888
2018-08-23 2020-03-23 2021-01-07 -0.4958 598 397 201
2002-05-06 2002-10-09 2003-09-02 -0.2799 331 109 222
2014-07-07 2016-02-11 2016-11-11 -0.2613 596 405 191
2001-08-22 2001-09-21 2002-03-01 -0.1888 127 18 109

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA NA NA 1 0 6.7 7.8
2001 -0.5 -1 1 -0.1 0.4 0.4 0 0.6 -1.7 1 0.6 -0.1 0.5
2002 0 0.7 -0.6 0.7 0.2 -0.9 0.9 1.6 1.2 1.2 1.2 0.7 7.2
2003 0.3 0.4 1 -0.2 2.2 0.5 -1.8 0.5 2 0 1.4 -0.5 5.9
2004 -0.1 1.4 0.9 -1 0.4 -1.2 0.2 1.2 2.1 0.4 1.5 0.1 6
2005 0.9 1 -0.9 0.3 0.9 -0.2 0.7 1.6 0.6 -1 1.8 -0.7 5.2
2006 0.4 1.2 0.3 -0.3 1.1 0.5 -1 -0.1 -0.9 -1.1 -0.4 -0.7 -1.1
2007 0.7 -0.1 0.5 0.3 0.7 -0.8 0.7 1.3 1.9 -3.5 0.6 -0.3 1.8
2008 2.5 -3 3.2 2.4 -0.2 -0.1 0.3 -0.7 -0.5 3.7 -7.5 2.9 2.4
2009 -3.2 -1.6 2.1 0.7 3.9 1.9 0.7 -2.8 -2.7 -3 1.5 -1.4 -4.2
2010 1 1.1 1.1 -2.9 -3 -0.6 0.5 3.9 0.3 -0.7 1.9 -1.1 1.3
2011 2.2 -1.4 0.9 0.3 -2.7 1.7 -0.7 -2 -1.1 -4 -0.9 -0.9 -8.4
2012 2.4 1.1 0.2 -0.4 -2.7 3.5 -1.9 0.3 0.1 1.3 -0.3 1.1 4.7
2013 0.9 0.3 -0.8 -2.2 -1.1 2.2 1.4 -1.7 0.9 -0.6 0.4 0.2 -0.1
2014 -0.7 0.2 1 -0.5 -0.2 1.3 -0.2 0.5 -1.2 1.4 -1 -1.1 -0.4
2015 -2 -0.4 -0.1 0.5 0.2 0.3 0.3 -2.8 -0.5 -0.3 0.7 -1.3 -5.3
2016 -0.4 1.4 -0.3 -0.5 0.5 0.8 -0.3 -0.2 1.2 -1.2 -0.2 -0.5 0.2
2017 -0.2 1.8 0.4 0.2 1.9 -0.1 0.2 0.9 0.1 -0.6 -0.6 -0.7 3.5
2018 0.2 -0.3 0.9 0.2 0.6 -0.4 -0.4 0.5 -1.6 1.8 0.6 0.4 2.6
2019 0.1 0.6 1.5 -1.1 -1.5 0.2 -1.9 0.1 -1.9 1.9 -0.8 0.3 -2.6
2020 -2.2 -1.2 -6.9 -4.4 1 -1.9 -0.9 1.1 1.5 -1.2 1.3 0.2 -13.2
2021 1.4 3 0 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-09-29  17.8 SPY    144. -0.0171  -0.0114  -0.0447  -0.0114   0.118        NA       NA <NA>     NA    NA       NA
2 2000-10-02  17.6 SPY    144.  0.0015  -0.0022  -0.0558  -0.0233   0.100        NA       NA <NA>     NA    NA       NA
3 2000-10-04  17.4 SPY    144.  0.0083   0.0037  -0.0502  -0.0142   0.0834       NA       NA <NA>     NA    NA       NA
4 2000-10-17  16.6 SPY    135. -0.0249  -0.0213  -0.0685  -0.0937   0.061        NA       NA <NA>     NA    NA       NA
5 2000-10-26  16.8 SPY    137.  0.0028  -0.0186  -0.0452  -0.038    0.0158       NA       NA <NA>     NA    NA       NA
6 2000-11-08  18.0 SPY    141. -0.0222  -0.0134   0.0209  -0.042    0.0206       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart